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Heteroskedastic time series with a unit root
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 25 (2009) 5, pp. 1228-1276
Persistent link: https://www.econbiz.de/10003885750
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Bootstrap unit root tests for time series with nonstationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric theory 24 (2008) 1, pp. 43-71
Persistent link: https://www.econbiz.de/10003894110
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Bootstrap M unit root tests
Cavaliere, Giuseppe; Taylor, Robert - In: Econometric reviews 28 (2009) 5, pp. 393-421
Persistent link: https://www.econbiz.de/10003873063
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Testing for unit roots in time series models with non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - In: Journal of econometrics 140 (2007) 2, pp. 919-947
Persistent link: https://www.econbiz.de/10003570043
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Testing for unit roots in the presence of a possible break in trend and nonstationary volatility
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, … - In: Econometric theory 27 (2011) 5, pp. 957-991
Persistent link: https://www.econbiz.de/10009379762
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - 2011
Persistent link: https://www.econbiz.de/10009412262
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - 2011
Persistent link: https://www.econbiz.de/10009389930
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Testing for unit roots in time series models with non-stationary volatility
Cavaliere, Giuseppe; Taylor, Robert - 2004
Persistent link: https://www.econbiz.de/10002672016
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Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility
Cavaliere, Giuseppe - 2012
A number of recently published papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, assumed that the lag length in the unit root test regression is a deterministic function of the...
Persistent link: https://www.econbiz.de/10013112718